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Davis, Mark Herbert Ainsworth

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Author ID: davis.mark-h-a Recent zbMATH articles by "Davis, Mark Herbert Ainsworth"
Published as: Davis, M. H. A.; Davis, Mark H. A.; Davis, Mark; Davis, M.
External Links: MGP · Wikidata · Google Scholar · Math-Net.Ru · dblp · GND · IdRef
Documents Indexed: 124 Publications since 1972, including 7 Books
4 Contributions as Editor · 1 Further Contribution
Biographic References: 4 Publications
Co-Authors: 59 Co-Authors with 80 Joint Publications
1,514 Co-Co-Authors
all top 5

Co-Authors

49 single-authored
8 Lleo, Sébastien
5 Elliott, Robert James
4 Hemerly, Elder Moreira
4 Varaiya, Pravin Pratap
3 Burstein, Gabriel
3 Clark, John M. C.
3 Dempster, Michael A. H.
3 Farid, Mohammad
3 Obloj, Jan K.
3 Wan, C. B.
3 Zervos, Mihail
2 Andruszkiewicz, Grzegorz
2 Brody, Dorje C.
2 Costa, Oswaldo Luiz V.
2 Friedman, Robyn L.
2 Gómez M., Guillermo L.
2 Hughston, Lane P.
2 Mataix-Pastor, Vicente
2 Panas, Vassilios G.
2 Schachermayer, Walter
2 Spathopoulos, Michael P.
2 Tompkins, Robert G.
2 Yoshikawa, Daisuke
2 Zariphopoulou, Thaleia
1 Ackermann, Juergen E.
1 Anderson, Brian David Outram
1 Andreadakis, Elias
1 Åström, Karl Johan
1 Balchen, Jens Glad
1 Barmish, B. Ross
1 Bensoussan, Alain
1 Björk, Tomas
1 Blondel, Vincent D.
1 Byrnes, Christopher Ian
1 Caines, Peter Edwin
1 Crowder, Martin J.
1 Davison, Edward Joseph
1 Duffie, James Darrell
1 Esparragoza-Rodriguez, Juan Carlos
1 Fleming, Wendell Helms
1 Fliess, Michel
1 Galtchouk, Leonid I.
1 Gevers, Michel R.
1 Giampieri, Giacomo
1 Goodwin, Graham Clifford
1 Guo, Xin
1 Hobson, David Graham
1 Howl, J. M.
1 Jacobs, O. L. R.
1 Johansson, Martin P.
1 Kailath, Thomas
1 Karatzas, Ioannis
1 Kimura, Hidenori
1 Kohlmann, Michael
1 Kučera, Vladimir V.
1 Landén, Camilla
1 Lasdas, V.
1 Laub, Alan J.
1 Lindquist, Anders Gunnar
1 Lischka, Fabian R.
1 Ljung, Lennart
1 Marcus, Steven I.
1 McFarlane, A. J. G.
1 Norman, A. R.
1 Parks, Patrick C.
1 Pasik-Duncan, Bozenna
1 Picci, Giorgio
1 Pistorius, Martijn R.
1 Poznyak, Aleksandr Semënovich
1 Raval, Vimal
1 Ribeiro do Val, João Bosco
1 Segall, Adrian
1 Sethi, Suresh P.
1 Shreve, Steven E.
1 Siorpaes, Pietro
1 Skelton, Robert E.
1 Tsypkin, Yakov Zalmanovich
1 Vellekoop, Michel H.
1 Vermes, Domokos
1 Vidyasagar, Mathukumalli
1 Vinter, Richard B.
1 Willems, Jan Camiel
1 Wonham, W. Murray
1 Wu, Guoliang
1 Zheng, Wei Xing
all top 5

Serials

10 SIAM Journal on Control and Optimization
6 IEEE Transactions on Automatic Control
5 IEEE Transactions on Information Theory
4 Quantitative Finance
2 Stochastics
2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
2 MCSS. Mathematics of Control, Signals, and Systems
2 The Annals of Applied Probability
2 Journal of the Royal Statistical Society. Series B
2 Finance and Stochastics
2 Mathematical Finance
2 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
2 International Journal of Theoretical and Applied Finance
2 SIAM Journal on Control
2 Monographs on Statistics and Applied Probability
2 Mathematics and Financial Economics
1 Advances in Applied Probability
1 Journal of Mathematical Analysis and Applications
1 Mathematical Proceedings of the Cambridge Philosophical Society
1 Nonlinearity
1 Teoriya Veroyatnosteĭ i eë Primeneniya
1 Theory of Probability and its Applications
1 The Annals of Probability
1 The Annals of Statistics
1 Applied Mathematics and Optimization
1 Information Sciences
1 Journal of the London Mathematical Society. Second Series
1 Mathematics of Operations Research
1 Mathematical Systems Theory
1 Systems & Control Letters
1 IMA Journal of Mathematical Control and Information
1 Journal of Economic Dynamics & Control
1 REBRAPE
1 Mitteilungen. Schweizerische Vereinigung der Versicherungsmathematiker (SVVM)
1 Annals of Operations Research
1 Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences
1 Stochastic Processes and their Applications
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Stochastics and Stochastics Reports
1 Philosophical Transactions of the Royal Society of London. Series A
1 Computational and Applied Mathematics
1 European Journal of Control
1 Mathematical Methods of Operations Research
1 OR Spectrum
1 Stochastics
1 The IMA Volumes in Mathematics and its Applications
1 Lectures on Mathematics and Physics. Mathematics. Tata Institute of Fundamental Research
1 Advanced Series on Statistical Science & Applied Probability
1 The Annals of Applied Statistics
1 SIAM Journal on Financial Mathematics
1 Annals of Finance
1 Statistics & Risk Modeling
1 Very Short Introductions

Publications by Year

Citations contained in zbMATH Open

98 Publications have been cited 2,252 times in 1,883 Documents Cited by Year
Markov models and optimization. Zbl 0780.60002
Davis, M. H. A.
303
1993
Portfolio selection with transaction costs. Zbl 0717.90007
Davis, M. H. A.; Norman, A. R.
288
1990
Piecewise-deterministic Markov processes: A general class of non- diffusion stochastic models. Zbl 0565.60070
Davis, M. H. A.
287
1984
European option pricing with transaction costs. Zbl 0779.90011
Davis, Mark H. A.; Panas, Vassilios G.; Zariphopoulou, Thaleia
154
1993
Linear estimation and stochastic control. Zbl 0437.60001
Davis, M. H. A.
113
1977
Option pricing in incomplete markets. Zbl 0914.90017
Davis, Mark H. A.
80
1997
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
65
2007
Dynamic programming conditions for partially observable stochastic systems. Zbl 0258.93029
Davis, M. H. A.; Varaiya, P.
63
1973
Optimal investment under partial information. Zbl 1189.49053
Björk, Tomas; Davis, Mark H. A.; Landén, Camilla
40
2010
Stochastic modelling and control. Zbl 0654.93001
Davis, M. H. A.; Vinter, R. B.
35
1985
The multiplicity of an increasing family of \(\sigma\)-fields. Zbl 0292.60071
Davis, M. H. A.; Varaiya, P.
34
1974
Arbitrage bounds for prices of weighted variance swaps. Zbl 1314.91209
Davis, Mark; Obłój, Jan; Raval, Vimal
34
2014
Optimal capacity expansion under uncertainty. Zbl 0619.93073
Davis, M. H. A.; Dempster, M. A. H.; Sethi, S. P.; Vermes, D.
33
1987
Impulse control of multidimensional jump diffusions. Zbl 1208.49045
Davis, Mark H. A.; Guo, Xin; Wu, Guoliang
32
2010
Malliavin Monte Carlo Greeks for jump diffusions. Zbl 1081.60040
Davis, Mark H. A.; Johansson, Martin P.
30
2006
On a multiplicative functional transformation arising in nonlinear filtering theory. Zbl 0431.60043
Davis, M. H. A.
29
1980
The representation of martingales of jump processes. Zbl 0337.60048
Davis, M. H. A.
28
1976
A deterministic approach to optimal stopping. Zbl 0855.60041
Davis, M. H. A.; Karatzas, I.
24
1994
Optimal play in a stochastic differential game. Zbl 0467.90094
Elliott, R. J.; Davis, M. H. A.
24
1981
American options and transaction fees. Zbl 0841.90050
Davis, Mark H. A.; Zariphopoulou, Thaleia
23
1995
A problem of singular stochastic control with discretionary stopping. Zbl 0796.93111
Davis, M. H. A.; Zervos, M.
19
1994
Risk-sensitive benchmarked asset management. Zbl 1140.91383
Davis, Mark; Lleo, Sébastien
19
2008
Nonlinear filtering with counting observations. Zbl 0298.93023
Segall, Adrian; Davis, Mark H. A.; Kailath, Thomas
19
1975
Survey on the state of systems and control. Zbl 1177.93001
Blondel, Vincent; Gevers, Michel; Lindquist, Anders
18
1995
A note on a comparison theorem for equations with different diffusions. Zbl 0487.60048
Gal’cuk, L. I.; Davis, M. H. A.
17
1982
On the existence of optimal policies in stochastic control. Zbl 0238.93044
Davis, M. H. A.
16
1973
An introduction to nonlinear filtering. Zbl 0491.93060
Davis, M. H. A.; Marcus, Steven I.
16
1981
Impulse control of piecewise-deterministic processes. Zbl 0675.93077
Costa, O. L. V.; Davis, M. H. A.
16
1989
Optimal hedging with basis risk. Zbl 1104.60038
Davis, Mark H. A.
15
2006
Strong consistency of the PLS criterion for order determination of autoregressive processes. Zbl 0675.62061
Hemerly, E. M.; Davis, M. H. A.
15
1989
Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model. Zbl 1291.35409
Davis, Mark; Lleo, Sébastien
12
2013
Martingale methods in stochastic control. Zbl 0409.93052
Davis, M. H. A.
11
1979
Functionals of diffusion processes as stochastic integrals. Zbl 0424.60063
Davis, M. H. A.
11
1980
A note on super-replicating strategies. Zbl 0822.90020
Davis, M. H. A.; Clark, J. M. C.
11
1994
Market completion using options. Zbl 1153.91479
Davis, Mark; Obłój, Jan
11
2008
Option valuation and hedging with basis risk. Zbl 0992.91045
Davis, Mark
11
2000
Complete-market models of stochastic volatility. Zbl 1086.91026
Davis, Mark H. A.
11
2004
A deterministic approach to stochastic optimal control with application to anticipative control. Zbl 0774.93085
Davis, Mark H. A.; Burstein, Gabriel
10
1992
Existence of optimal controls for stochastic jump processes. Zbl 0421.49025
Wan, C. B.; Davis, M. H. A.
10
1979
Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168
Davis, Mark; Lleo, Sébastien
10
2011
Optimal control of a jump process. Zbl 0349.60084
Davis, Mark; Elliott, Robert
10
1977
Informed traders. Zbl 1186.91208
Brody, Dorje C.; Davis, Mark H. A.; Friedman, Robyn L.; Hughston, Lane P.
10
2009
Pathwise nonlinear filtering. Zbl 0511.93063
Davis, M. H. A.
10
1981
Risk-sensitive investment management. Zbl 1298.91006
Davis, Mark H. A.; Lleo, Sébastien
10
2015
A pathwise solution of the equations of nonlinear filtering. Zbl 0487.60049
Davis, M. H. A.
10
1982
A pair of explicitly solvable singular stochastic control problems. Zbl 0928.93065
Davis, M. H. A.; Zervos, M.
9
1998
The writing price of a European contingent claim under proportional transaction costs. Zbl 0813.90007
Davis, M. H. A.; Panas, V. G.
9
1994
The separation principle in stochastic control via Girsanov solutions. Zbl 0322.93037
Davis, M. H. A.
9
1976
Analysis of default data using hidden Markov models. Zbl 1118.91321
Giampieri, Giacomo; Davis, Mark; Crowder, Martin
9
2005
Convertible bonds with market risk and credit risk. Zbl 1029.91033
Davis, Mark; Lischka, Fabian R.
9
2002
Verification of internal risk measure estimates. Zbl 1356.91102
Davis, Mark H. A.
9
2016
Piecewise-deterministic processes and viscosity solutions. Zbl 0917.93071
Davis, Mark H. A.; Farid, Mohammad
8
1999
Approximations for optimal stopping of a piecewise-deterministic process. Zbl 0657.93077
Costa, O. L. V.; Davis, M. H. A.
8
1988
Pathwise stochastic calculus with local times. Zbl 1394.60032
Davis, Mark; Obłój, Jan; Siorpaes, Pietro
8
2018
Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608
Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G.
7
2001
A note on the forward measure. Zbl 0894.90015
Davis, Mark
6
1998
Exact and approximate filtering in signal detection: An example. Zbl 0368.62095
Davis, Mark H. A.; Andreadakis, Elias
6
1977
The application of nonlinear filtering to fault detection in linear systems. Zbl 0299.93036
Davis, M. H. A.
6
1975
Pricing weather derivatives by marginal value. Zbl 1405.91607
Davis, M.
6
2001
On ”predicted miss” stochastic control problems. Zbl 0406.93063
Davis, M. H. A.; Clark, J. M. C.
5
1979
A new proof of the discrete-time LQG optimal control theorems. Zbl 0833.93060
Davis, Mark H. A.; Zervos, Mihail
5
1995
Mathematics of financial markets. Zbl 1047.91028
Davis, Mark
5
2001
Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran. Zbl 0554.93073
Davis, M. H. A.
5
1984
Information states for linear stochastic systems. Zbl 0197.42502
Davis, M. H. A.; Varaiya, P. P.
5
1972
Control of piecewise-deterministic processes via discrete-time dynamic programming. Zbl 0596.93070
Davis, M. H. A.
4
1986
Large portfolio credit risk modeling. Zbl 1291.91221
Davis, Mark H. A.; Esparragoza-Rodriguez, Juan Carlos
4
2007
Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling. Zbl 0959.91046
Farid, Mohammad; Davis, Mark H. A.
4
1999
Capacity and cutoff rate for Poisson-type channels. Zbl 0471.94011
Davis, Mark H. A.
4
1980
A note on the Poisson disorder problem. Zbl 0331.60070
Davis, M. H. A.
4
1976
Permanent health insurance: A case study in piecewise-deterministic Markov modelling. Zbl 0843.62101
Davis, Mark H. A.; Vellekoop, Michel H.
3
1995
Pathwise nonlinear filtering with correlated noise. Zbl 1237.93172
Davis, M. H. A.
3
2011
Installment options and static hedging. Zbl 0994.91022
Davis, Mark H. A.; Schachermayer, Walter; Tompkins, Robert G.
3
2001
Negative Libor rates in the swap market model. Zbl 1142.91051
Davis, Mark H. A.; Mataix-Pastor, Vicente
3
2007
Martingales of Wiener and Poisson processes. Zbl 0338.60026
Davis, M. H. A.
3
1976
Pathwise nonlinear filtering for nondegenerate diffusions with noise correlation. Zbl 1300.60056
Davis, M. H. A.; Spathopoulos, M. P.
3
1987
The semi-martingale approach to the optimal resource allocation in the controlled labour-surplus economy. Zbl 0624.90012
Davis, M. H. A.; Gómez M., Guillermo L.
2
1987
Reducibility and unobservability of Markov processes: The linear system case. Zbl 0748.60058
Davis, M. H. A.; Lasdas, V.
2
1992
A target recognition problem: Sequential analysis and optimal control. Zbl 0865.49023
Davis, Mark H. A.; Farid, Mohammad
2
1996
Valuation, hedging and investment in incomplete financial markets. Zbl 1151.91052
Davis, Mark H. A.
2
2004
Martingale representation and all that. Zbl 1124.60041
Davis, Mark H. A.
2
2005
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk. Zbl 1325.60071
Davis, M. H. A.; Pistorius, M. R.
2
2015
Risk-sensitive investment in a finite-factor model. Zbl 1411.91474
Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, Sébastien
2
2017
Anticipative LQG control. Zbl 0696.93072
Davis, M. H. A.
2
1989
Order determination and adaptive control of ARX models using the PLS criterion. Zbl 0683.93077
Davis, M. H. A.; Hemerly, E. M.
2
1989
Recursive order estimation of stochastic control systems. Zbl 0691.93051
Hemerly, E. M.; Davis, M. H. A.
2
1989
A note on utility-based pricing. Zbl 1403.91156
Davis, Mark H. A.; Yoshikawa, Daisuke
1
2015
A note on utility-based pricing in models with transaction costs. Zbl 1319.91140
Davis, Mark H. A.; Yoshikawa, Daisuke
1
2015
Jump-diffusion asset-liability management via risk-sensitive control. Zbl 1318.91180
Davis, Mark H. A.; Lleo, Sébastien
1
2015
Anticipative LQG control. II. Zbl 0753.93082
Davis, M. H. A.
1
1990
The structure of jump processes and related control problems. Zbl 0369.60096
Davis, M. H. A.
1
1976
The general point process disorder problem. Zbl 0371.60065
Wan, C. B.; Davis, Mark H. A.
1
1977
A direct proof of innovations/observations equivalence for Gaussian processes. Zbl 0406.93051
Davis, M. H. A.
1
1978
A Markovian analysis of the finite-buffer M/D/1 queue. Zbl 0942.60088
Davis, M. H. A.; Howl, J. M.
1
1997
On stochastic differentiation. Zbl 0352.60043
Davis, M. H. A.
1
1975
Recursive order estimation of autoregressions without bounding the model set. Zbl 0800.62538
Hemerly, E. M.; Davis, M. H. A.
1
1991
On the value of information in controlled diffusion processes. Zbl 0726.93082
Davis, M. H. A.; Dempster, M. A. H.; Elliott, R. J.
1
1991
Local time on the stock exchange. Zbl 0656.60082
Davis, M. H. A.
1
1988
On the minimum principle for controlled diffusions on manifolds. Zbl 0695.93119
Davis, M. H. A.; Spathopoulos, M. P.
1
1989
Pathwise stochastic calculus with local times. Zbl 1394.60032
Davis, Mark; Obłój, Jan; Siorpaes, Pietro
8
2018
Risk-sensitive investment in a finite-factor model. Zbl 1411.91474
Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, Sébastien
2
2017
Verification of internal risk measure estimates. Zbl 1356.91102
Davis, Mark H. A.
9
2016
Risk-sensitive investment management. Zbl 1298.91006
Davis, Mark H. A.; Lleo, Sébastien
10
2015
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk. Zbl 1325.60071
Davis, M. H. A.; Pistorius, M. R.
2
2015
A note on utility-based pricing. Zbl 1403.91156
Davis, Mark H. A.; Yoshikawa, Daisuke
1
2015
A note on utility-based pricing in models with transaction costs. Zbl 1319.91140
Davis, Mark H. A.; Yoshikawa, Daisuke
1
2015
Jump-diffusion asset-liability management via risk-sensitive control. Zbl 1318.91180
Davis, Mark H. A.; Lleo, Sébastien
1
2015
Arbitrage bounds for prices of weighted variance swaps. Zbl 1314.91209
Davis, Mark; Obłój, Jan; Raval, Vimal
34
2014
Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model. Zbl 1291.35409
Davis, Mark; Lleo, Sébastien
12
2013
Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168
Davis, Mark; Lleo, Sébastien
10
2011
Pathwise nonlinear filtering with correlated noise. Zbl 1237.93172
Davis, M. H. A.
3
2011
Optimal investment under partial information. Zbl 1189.49053
Björk, Tomas; Davis, Mark H. A.; Landén, Camilla
40
2010
Impulse control of multidimensional jump diffusions. Zbl 1208.49045
Davis, Mark H. A.; Guo, Xin; Wu, Guoliang
32
2010
Informed traders. Zbl 1186.91208
Brody, Dorje C.; Davis, Mark H. A.; Friedman, Robyn L.; Hughston, Lane P.
10
2009
Risk-sensitive benchmarked asset management. Zbl 1140.91383
Davis, Mark; Lleo, Sébastien
19
2008
Market completion using options. Zbl 1153.91479
Davis, Mark; Obłój, Jan
11
2008
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
65
2007
Large portfolio credit risk modeling. Zbl 1291.91221
Davis, Mark H. A.; Esparragoza-Rodriguez, Juan Carlos
4
2007
Negative Libor rates in the swap market model. Zbl 1142.91051
Davis, Mark H. A.; Mataix-Pastor, Vicente
3
2007
Malliavin Monte Carlo Greeks for jump diffusions. Zbl 1081.60040
Davis, Mark H. A.; Johansson, Martin P.
30
2006
Optimal hedging with basis risk. Zbl 1104.60038
Davis, Mark H. A.
15
2006
Analysis of default data using hidden Markov models. Zbl 1118.91321
Giampieri, Giacomo; Davis, Mark; Crowder, Martin
9
2005
Martingale representation and all that. Zbl 1124.60041
Davis, Mark H. A.
2
2005
Complete-market models of stochastic volatility. Zbl 1086.91026
Davis, Mark H. A.
11
2004
Valuation, hedging and investment in incomplete financial markets. Zbl 1151.91052
Davis, Mark H. A.
2
2004
Convertible bonds with market risk and credit risk. Zbl 1029.91033
Davis, Mark; Lischka, Fabian R.
9
2002
Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608
Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G.
7
2001
Pricing weather derivatives by marginal value. Zbl 1405.91607
Davis, M.
6
2001
Mathematics of financial markets. Zbl 1047.91028
Davis, Mark
5
2001
Installment options and static hedging. Zbl 0994.91022
Davis, Mark H. A.; Schachermayer, Walter; Tompkins, Robert G.
3
2001
Option valuation and hedging with basis risk. Zbl 0992.91045
Davis, Mark
11
2000
Piecewise-deterministic processes and viscosity solutions. Zbl 0917.93071
Davis, Mark H. A.; Farid, Mohammad
8
1999
Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling. Zbl 0959.91046
Farid, Mohammad; Davis, Mark H. A.
4
1999
A pair of explicitly solvable singular stochastic control problems. Zbl 0928.93065
Davis, M. H. A.; Zervos, M.
9
1998
A note on the forward measure. Zbl 0894.90015
Davis, Mark
6
1998
Option pricing in incomplete markets. Zbl 0914.90017
Davis, Mark H. A.
80
1997
A Markovian analysis of the finite-buffer M/D/1 queue. Zbl 0942.60088
Davis, M. H. A.; Howl, J. M.
1
1997
A target recognition problem: Sequential analysis and optimal control. Zbl 0865.49023
Davis, Mark H. A.; Farid, Mohammad
2
1996
American options and transaction fees. Zbl 0841.90050
Davis, Mark H. A.; Zariphopoulou, Thaleia
23
1995
Survey on the state of systems and control. Zbl 1177.93001
Blondel, Vincent; Gevers, Michel; Lindquist, Anders
18
1995
A new proof of the discrete-time LQG optimal control theorems. Zbl 0833.93060
Davis, Mark H. A.; Zervos, Mihail
5
1995
Permanent health insurance: A case study in piecewise-deterministic Markov modelling. Zbl 0843.62101
Davis, Mark H. A.; Vellekoop, Michel H.
3
1995
A deterministic approach to optimal stopping. Zbl 0855.60041
Davis, M. H. A.; Karatzas, I.
24
1994
A problem of singular stochastic control with discretionary stopping. Zbl 0796.93111
Davis, M. H. A.; Zervos, M.
19
1994
A note on super-replicating strategies. Zbl 0822.90020
Davis, M. H. A.; Clark, J. M. C.
11
1994
The writing price of a European contingent claim under proportional transaction costs. Zbl 0813.90007
Davis, M. H. A.; Panas, V. G.
9
1994
Markov models and optimization. Zbl 0780.60002
Davis, M. H. A.
303
1993
European option pricing with transaction costs. Zbl 0779.90011
Davis, Mark H. A.; Panas, Vassilios G.; Zariphopoulou, Thaleia
154
1993
A deterministic approach to stochastic optimal control with application to anticipative control. Zbl 0774.93085
Davis, Mark H. A.; Burstein, Gabriel
10
1992
Reducibility and unobservability of Markov processes: The linear system case. Zbl 0748.60058
Davis, M. H. A.; Lasdas, V.
2
1992
Recursive order estimation of autoregressions without bounding the model set. Zbl 0800.62538
Hemerly, E. M.; Davis, M. H. A.
1
1991
On the value of information in controlled diffusion processes. Zbl 0726.93082
Davis, M. H. A.; Dempster, M. A. H.; Elliott, R. J.
1
1991
Portfolio selection with transaction costs. Zbl 0717.90007
Davis, M. H. A.; Norman, A. R.
288
1990
Anticipative LQG control. II. Zbl 0753.93082
Davis, M. H. A.
1
1990
Impulse control of piecewise-deterministic processes. Zbl 0675.93077
Costa, O. L. V.; Davis, M. H. A.
16
1989
Strong consistency of the PLS criterion for order determination of autoregressive processes. Zbl 0675.62061
Hemerly, E. M.; Davis, M. H. A.
15
1989
Anticipative LQG control. Zbl 0696.93072
Davis, M. H. A.
2
1989
Order determination and adaptive control of ARX models using the PLS criterion. Zbl 0683.93077
Davis, M. H. A.; Hemerly, E. M.
2
1989
Recursive order estimation of stochastic control systems. Zbl 0691.93051
Hemerly, E. M.; Davis, M. H. A.
2
1989
On the minimum principle for controlled diffusions on manifolds. Zbl 0695.93119
Davis, M. H. A.; Spathopoulos, M. P.
1
1989
Approximations for optimal stopping of a piecewise-deterministic process. Zbl 0657.93077
Costa, O. L. V.; Davis, M. H. A.
8
1988
Local time on the stock exchange. Zbl 0656.60082
Davis, M. H. A.
1
1988
Optimal capacity expansion under uncertainty. Zbl 0619.93073
Davis, M. H. A.; Dempster, M. A. H.; Sethi, S. P.; Vermes, D.
33
1987
Pathwise nonlinear filtering for nondegenerate diffusions with noise correlation. Zbl 1300.60056
Davis, M. H. A.; Spathopoulos, M. P.
3
1987
The semi-martingale approach to the optimal resource allocation in the controlled labour-surplus economy. Zbl 0624.90012
Davis, M. H. A.; Gómez M., Guillermo L.
2
1987
Control of piecewise-deterministic processes via discrete-time dynamic programming. Zbl 0596.93070
Davis, M. H. A.
4
1986
Stochastic modelling and control. Zbl 0654.93001
Davis, M. H. A.; Vinter, R. B.
35
1985
Piecewise-deterministic Markov processes: A general class of non- diffusion stochastic models. Zbl 0565.60070
Davis, M. H. A.
287
1984
Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran. Zbl 0554.93073
Davis, M. H. A.
5
1984
A note on a comparison theorem for equations with different diffusions. Zbl 0487.60048
Gal’cuk, L. I.; Davis, M. H. A.
17
1982
A pathwise solution of the equations of nonlinear filtering. Zbl 0487.60049
Davis, M. H. A.
10
1982
Optimal play in a stochastic differential game. Zbl 0467.90094
Elliott, R. J.; Davis, M. H. A.
24
1981
An introduction to nonlinear filtering. Zbl 0491.93060
Davis, M. H. A.; Marcus, Steven I.
16
1981
Pathwise nonlinear filtering. Zbl 0511.93063
Davis, M. H. A.
10
1981
On a multiplicative functional transformation arising in nonlinear filtering theory. Zbl 0431.60043
Davis, M. H. A.
29
1980
Functionals of diffusion processes as stochastic integrals. Zbl 0424.60063
Davis, M. H. A.
11
1980
Capacity and cutoff rate for Poisson-type channels. Zbl 0471.94011
Davis, Mark H. A.
4
1980
Martingale methods in stochastic control. Zbl 0409.93052
Davis, M. H. A.
11
1979
Existence of optimal controls for stochastic jump processes. Zbl 0421.49025
Wan, C. B.; Davis, M. H. A.
10
1979
On ”predicted miss” stochastic control problems. Zbl 0406.93063
Davis, M. H. A.; Clark, J. M. C.
5
1979
A direct proof of innovations/observations equivalence for Gaussian processes. Zbl 0406.93051
Davis, M. H. A.
1
1978
Linear estimation and stochastic control. Zbl 0437.60001
Davis, M. H. A.
113
1977
Optimal control of a jump process. Zbl 0349.60084
Davis, Mark; Elliott, Robert
10
1977
Exact and approximate filtering in signal detection: An example. Zbl 0368.62095
Davis, Mark H. A.; Andreadakis, Elias
6
1977
The general point process disorder problem. Zbl 0371.60065
Wan, C. B.; Davis, Mark H. A.
1
1977
The representation of martingales of jump processes. Zbl 0337.60048
Davis, M. H. A.
28
1976
The separation principle in stochastic control via Girsanov solutions. Zbl 0322.93037
Davis, M. H. A.
9
1976
A note on the Poisson disorder problem. Zbl 0331.60070
Davis, M. H. A.
4
1976
Martingales of Wiener and Poisson processes. Zbl 0338.60026
Davis, M. H. A.
3
1976
The structure of jump processes and related control problems. Zbl 0369.60096
Davis, M. H. A.
1
1976
Nonlinear filtering with counting observations. Zbl 0298.93023
Segall, Adrian; Davis, Mark H. A.; Kailath, Thomas
19
1975
The application of nonlinear filtering to fault detection in linear systems. Zbl 0299.93036
Davis, M. H. A.
6
1975
On stochastic differentiation. Zbl 0352.60043
Davis, M. H. A.
1
1975
The multiplicity of an increasing family of \(\sigma\)-fields. Zbl 0292.60071
Davis, M. H. A.; Varaiya, P.
34
1974
Dynamic programming conditions for partially observable stochastic systems. Zbl 0258.93029
Davis, M. H. A.; Varaiya, P.
63
1973
On the existence of optimal policies in stochastic control. Zbl 0238.93044
Davis, M. H. A.
16
1973
Information states for linear stochastic systems. Zbl 0197.42502
Davis, M. H. A.; Varaiya, P. P.
5
1972
all top 5

Cited by 2,408 Authors

29 Elliott, Robert James
20 Zhang, Qing
19 Siu, Tak Kuen
18 Muhle-Karbe, Johannes
16 Costa, Oswaldo Luiz V.
15 Davis, Mark Herbert Ainsworth
15 Dufour, François
15 Yin, Gang George
14 Obloj, Jan K.
13 Karatzas, Ioannis
12 Bäuerle, Nicole
12 Soner, Halil Mete
12 Touzi, Nizar
12 Young, Virginia R.
11 Bayraktar, Erhan
11 Madan, Dilip B.
11 Schachermayer, Walter
10 Bonotto, Everaldo M.
10 Dassios, Angelos
10 Goreac, Dan
10 Hobson, David Graham
10 Yavin, Yaakov
9 Dai, Min
9 Horbacz, Katarzyna
8 Guo, Xin
8 Haurie, Alain B.
8 Menaldi, Jose-Luis
8 Pham, Huyên
8 Sass, Jörn
8 Sircar, Ronnie
8 Yang, Hailiang
8 Yau, Stephen Shing-Toung
8 Zervos, Mihail
8 Zhang, Yi
8 Zhu, Songping
7 Bandini, Elena
7 Bouchard, Bruno
7 Bressloff, Paul C.
7 Hamadene, Saïd
7 Hata, Hiroaki
7 Kramkov, Dmitriĭ Olegovich
7 Ludkovski, Michael
7 Lygeros, John
7 Malrieu, Florent
7 Thieullen, Michèle
7 Wang, Song
7 Zhao, Hongbiao
6 Boukas, El-Kébir
6 Colaneri, Katia
6 Cox, Alexander Matthew Gordon
6 de Saporta, Benoîte
6 Guasoni, Paolo
6 Henderson, Vicky
6 Henry-Labordère, Pierre
6 Jang, Jiwook
6 Jeanblanc, Monique
6 Kallsen, Jan
6 Mezerdi, Brahim
6 Piunovskiĭ, Alekseĭ Borisovich
6 Possamaï, Dylan
6 Schied, Alexander
6 Wu, Zhen
5 Belak, Christoph
5 Bielecki, Tomasz R.
5 Bierkens, Joris
5 Bo, Lijun
5 Bortolussi, Luca
5 Chen, An
5 Cohen, Samuel N.
5 Dolinsky, Yan
5 Forsyth, Peter A.
5 Genadot, Alexandre
5 Hening, Alexandru
5 Huang, Xing
5 Ing, Ching-Kang
5 Jaimungal, Sebastian
5 Le Breton, Alain
5 Lepeltier, Jean-Pierre
5 Limnios, Nikolaos
5 Löpker, Andreas H.
5 Lu, Xiaoping
5 Mania, Michael
5 Monoyios, Michael
5 Nagai, Hideo
5 Øksendal, Bernt Karsten
5 Palamarchuk, E. S.
5 Pitera, Marcin
5 Rásonyi, Miklós
5 Roberts, Gareth O.
5 Rudnicki, Ryszard
5 Runggaldier, Wolfgang J.
5 Schoutens, Wim
5 Sekine, Jun
5 Stettner, Łukasz
5 Sulem, Agnès
5 Wu, Rong
5 Yang, Zhou
5 Yong, Jiongmin
5 Yoshioka, Hidekazu
5 Zariphopoulou, Thaleia
...and 2,308 more Authors
all top 5

Cited in 300 Serials

77 Stochastic Processes and their Applications
69 The Annals of Applied Probability
67 Finance and Stochastics
52 Quantitative Finance
48 Applied Mathematics and Optimization
47 SIAM Journal on Control and Optimization
47 International Journal of Theoretical and Applied Finance
45 Journal of Economic Dynamics & Control
45 European Journal of Operational Research
44 Insurance Mathematics & Economics
40 Automatica
38 Journal of Mathematical Analysis and Applications
34 Advances in Applied Probability
34 Systems & Control Letters
34 Mathematical Finance
30 Stochastics
29 Stochastic Analysis and Applications
27 Mathematics and Financial Economics
25 Stochastics
25 Journal of Optimization Theory and Applications
24 SIAM Journal on Financial Mathematics
23 Journal of Applied Probability
22 Applied Mathematical Finance
20 Journal of Computational and Applied Mathematics
18 International Journal of Control
17 Computers & Mathematics with Applications
17 Mathematical Methods of Operations Research
16 Applied Mathematics and Computation
16 Statistics & Probability Letters
15 International Journal of Systems Science
15 Queueing Systems
14 Journal of Mathematical Biology
14 MCSS. Mathematics of Control, Signals, and Systems
13 Annals of Operations Research
12 Asia-Pacific Financial Markets
11 Journal of Economic Theory
11 Automation and Remote Control
11 Stochastics and Stochastics Reports
11 Electronic Journal of Probability
11 Stochastic Models
11 Annals of Finance
10 Journal of Statistical Physics
10 Journal of Mathematical Economics
10 Scandinavian Actuarial Journal
10 Nonlinear Analysis. Hybrid Systems
9 The Annals of Probability
9 Journal of Differential Equations
9 Mathematics of Operations Research
9 Acta Applicandae Mathematicae
8 Optimal Control Applications & Methods
8 Mathematical Problems in Engineering
8 Discrete and Continuous Dynamical Systems. Series B
8 Journal of Industrial and Management Optimization
7 Operations Research
7 Acta Mathematicae Applicatae Sinica. English Series
7 Mathematical and Computer Modelling
7 Journal of Applied Mathematics and Stochastic Analysis
7 Computational Economics
7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
7 Acta Mathematica Sinica. English Series
7 Methodology and Computing in Applied Probability
7 Stochastics and Dynamics
7 North American Actuarial Journal
6 Journal of the Franklin Institute
6 Bulletin of Mathematical Biology
6 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
6 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
6 Operations Research Letters
6 Neural Computation
6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
6 Chaos
6 Probability in the Engineering and Informational Sciences
6 Review of Derivatives Research
5 Theory of Probability and its Applications
5 Journal of Multivariate Analysis
5 Journal of Statistical Planning and Inference
5 Probability Theory and Related Fields
5 International Journal of Computer Mathematics
5 Journal of Mathematical Sciences (New York)
5 Bernoulli
5 The ANZIAM Journal
5 Journal of Systems Science and Complexity
5 Decisions in Economics and Finance
5 Mathematical Control and Related Fields
5 Journal of Theoretical Biology
4 Lithuanian Mathematical Journal
4 Mathematical Biosciences
4 Physica A
4 Chaos, Solitons and Fractals
4 The Annals of Statistics
4 Journal of Functional Analysis
4 Scandinavian Actuarial Journal
4 Theoretical Computer Science
4 Physica D
4 Applied Numerical Mathematics
4 Information and Computation
4 Applied Mathematical Modelling
4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
4 Journal of Computer and Systems Sciences International
4 Economic Theory
...and 200 more Serials
all top 5

Cited in 44 Fields

1,014 Probability theory and stochastic processes (60-XX)
923 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
633 Systems theory; control (93-XX)
276 Calculus of variations and optimal control; optimization (49-XX)
240 Operations research, mathematical programming (90-XX)
172 Statistics (62-XX)
126 Partial differential equations (35-XX)
121 Numerical analysis (65-XX)
109 Biology and other natural sciences (92-XX)
57 Ordinary differential equations (34-XX)
43 Computer science (68-XX)
42 Dynamical systems and ergodic theory (37-XX)
29 Operator theory (47-XX)
24 Statistical mechanics, structure of matter (82-XX)
19 Integral equations (45-XX)
12 Information and communication theory, circuits (94-XX)
9 Measure and integration (28-XX)
9 Functional analysis (46-XX)
8 Quantum theory (81-XX)
7 Nonassociative rings and algebras (17-XX)
5 Linear and multilinear algebra; matrix theory (15-XX)
5 Potential theory (31-XX)
5 Difference and functional equations (39-XX)
5 Mechanics of particles and systems (70-XX)
5 Geophysics (86-XX)
4 Mathematical logic and foundations (03-XX)
4 Real functions (26-XX)
4 Integral transforms, operational calculus (44-XX)
4 Differential geometry (53-XX)
4 General topology (54-XX)
4 Global analysis, analysis on manifolds (58-XX)
4 Fluid mechanics (76-XX)
3 History and biography (01-XX)
3 Classical thermodynamics, heat transfer (80-XX)
2 General and overarching topics; collections (00-XX)
2 Functions of a complex variable (30-XX)
2 Approximations and expansions (41-XX)
2 Convex and discrete geometry (52-XX)
2 Manifolds and cell complexes (57-XX)
2 Mechanics of deformable solids (74-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Number theory (11-XX)
1 Group theory and generalizations (20-XX)
1 Topological groups, Lie groups (22-XX)

Citations by Year

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